Momentum profits can be explained by exposure to risks omitted from common factor models (distress risk, idiosyncratic … risk, and covariance with corporate bonds) and underreaction to innovations in these risks. Momentum strategies tend to go … long risky stocks with high expected returns. Consistent with risk as a partial explanation of momentum profits, long …

-scheduled macroeconomic announcements. The first risk arises from the uncertain content of the news itself and is directional in nature, while … the second risk is associated with the “heightened uncertainty” in anticipation of a pre-scheduled announcement, relating … in particular to its potential market impact. Theoretically, we show that it is the resolution of this second risk prior …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

-scheduled macroeconomic announcements. The first risk arises from the uncertain content of the news itself and is directional in nature, while … the second risk is associated with the "heightened uncertainty'' in anticipation of a pre-scheduled announcement, relating … in particular to its potential market impact. Theoretically, we show that it is the resolution of this second risk prior …

prior to the earnings announcement day (EAD) reflecting a bimodal risk-neutral distribution for the underlying stock price …-ante option-based signal for event risk in the underlying stock. Returns on delta-neutral straddles around EADs are significantly … lower in the presence of concave IV curves, showing that investors pay a high premium to hedge against this event risk …

valuation changes are measures of target valuation uncertainty. Risk-averse acquirer managers likely require compensation when … their firms take on valuation risk through the acquisition of hard-to-value targets. Diversified shareholders of public … offloading idiosyncratic risk. Without compensation for the acquirer in the form of lower acquisition prices, acquirer managers …